American options
High-performance American option pricing
This paper presents a high-performance spectral collocation method for the computation of American put and call option prices.
Faster comparison of stopping times by nested conditional Monte Carlo
The authors propose a novel method for efficiently comparing the performance of different stopping times.
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.
Mariana Capital offers FTSE 100 autocall
Mariana Capital offers FTSE 100 autocall
Product performance
Product performance
Trade of the month: Linear payout combinations
Trade of the month: Linear payout combinations
Estimating and reducing lapse risk
The persistency problem
Valuing exploration and production projects
Lukens Energy Group’s Hugh Li sets out an option method for valuing exploration and production projects, using a practical example
Project risk: improving Monte Carlo value-at-risk
Cashflows from projects and other structured deals can be as complicated as we are willing to allow, but the complexities of Monte Carlo project modelling need not complicate value-at-risk calculation. Here, Andrew Klinger imports least-squares valuation…
Why be backward?
Originally developed as a tool for calibrating smile models, so-called forward methods can also be used to price options and derive Greeks. Here, Peter Carr and Ali Hirsa apply the technique to the pricing of continuously exercisable American-style put…
Trees from history
Option pricing
The tree of knowledge
Options